Hello, I was trying to determine if you had the more modern FVIR type heater and it sounds like you do. They have a sealed combustion chamber, so should be harder to blow out. Is there a grill in the floor or a pipe down from the ceiling to provide combustion air for the heater? Perhaps there are grills in the door? I’m just trying to understand where gusts of wind could come from. If wind is blowing down the vent pipe, it has to be coming out at the heater and going someplace. Perhaps staying close to the heater when it’s windy will give you some clues about how the pilot is being blown out and what the source of the breeze is.
I don’t know if your control has provision for this, but older controls often has a pilot adjustment, so it could be made bigger or smaller. If yours has that, you could increase the size of the pilot flame, making it harder to blow out. Also, if the flame is only touching the thermocouple a little, increasing flame size or bending the assembly so the pilot hits the thermocouple better could help. That last one might be best done by a technician familiar with that sort of work.
Another thing to try is calling the manufacturer and asking if this control has problems as you describe. If you’re lucky, it could be a warranty issue! 😎